Revisiting Feller Diffusion: Derivation and Simulation
Probability
2019-06-28 v3 Mathematical Finance
Abstract
We propose a simpler derivation of the probability density function of Feller Diffusion using the Fourier Transform and solving the resulting equation via the Method of Characteristics. We also discuss simulation algorithms and confirm key properties related to hitting time probabilities via the simulation.
Cite
@article{arxiv.1905.10737,
title = {Revisiting Feller Diffusion: Derivation and Simulation},
author = {Ranjiva Munasinghe and Leslie Kanthan and Pathum Kossinna},
journal= {arXiv preprint arXiv:1905.10737},
year = {2019}
}
Comments
18 pages, 3 figures, 6 tables